Selecting the W Matrix: Parametric vs. Non Parametric Approaches

Jesus Mur, Marcos Herrera Gómez and Manuel Ruiz Marin
Authors registered in the RePEc Author Service: Marcos Herrera Gómez

MPRA Paper from University Library of Munich, Germany

Abstract: In spatial econometrics, it is customary to specify a weighting matrix, the so-called W matrix, by choosing one matrix from a finite set of matrices. The decision is extremely important because, if the W matrix is misspecified, the estimates are likely to be biased and inconsistent. However, the procedure to select W is not well defined and, usually, it reflects the judgments of the user. In this paper, we revise the literature looking for criteria to help with this problem. Also, a new nonparametric procedure is introduced. Our proposal is based on a measure of the information, conditional entropy. We compare these alternatives by means of a Monte Carlo experiment.

Keywords: Spatial weighting matrix; selection models; parametric methods; non parametric methods (search for similar items in EconPapers)
JEL-codes: C15 C31 C50 (search for similar items in EconPapers)
Date: 2013-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Selecting the W Matrix. Parametric vs Nonparametric Approaches (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:71181

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